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The physics of financial networks [PDF]
Nature Reviews Physics, 2021 version submitted to Nature Reviews ...
Marco Bardoscia +2 more
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Operations Research
In “Robust Financial Networks,” F. Hu, D. Mitchell, and S. Tompaidis study networks of financial institutions where only aggregate information on liabilities is available. The authors introduce the robust liability network, that is, the network consistent with the available information that exhibits the worst expected losses. They provide an algorithm
Stathis Tompaidis
exaly +4 more sources
In “Robust Financial Networks,” F. Hu, D. Mitchell, and S. Tompaidis study networks of financial institutions where only aggregate information on liabilities is available. The authors introduce the robust liability network, that is, the network consistent with the available information that exhibits the worst expected losses. They provide an algorithm
Stathis Tompaidis
exaly +4 more sources
Systemic Risk and Stability in Financial Networks
American Economic Review, 2015 This paper argues that the extent of financial contagion exhibits a form of phase transition: as long as the magnitude of negative shocks affecting financial institutions are sufficiently small, a more densely connected financial network (corresponding ...
Daron Acemoglu +2 more
exaly +2 more sources
Robust Risk Quantification via Shock Propagation in Financial Networks
Operational Research, 2023Robust Risk Quantification via Shock Propagation in Financial Networks Despite the significance of risk contagion in financial networks, uncertainties arise in interbank network structures because of limited information.
Dohyun Ahn, Nan Chen, K. Kim
semanticscholar +1 more source
Multilayer financial networks and systemic importance: Evidence from China
International Review of Financial Analysis, 2021In this paper, we develop a multilayer network structure and reveal the relationship between network structure and systemic risk. Unlike many previous studies, our model considers both liability and cross-holding of shares between financial institutions ...
Jie Cao +3 more
semanticscholar +1 more source
A study of systemic risk of global stock markets under COVID-19 based on complex financial networks
, 2021In this paper, Granger causalities of stock markets of 20 different countries are estimated from Aug 2019 to Mar 2020. Also, the complex network for global stock markets is established based on the data.
Yujie Lai, Yibo Hu
semanticscholar +1 more source
Bootstrap-based probabilistic analysis of spillover scenarios in economic and financial networks
Journal of financial markets, 2021We apply techniques from the event probability forecasting literature to the analysis of spillover scenarios in economic and financial networks. A simple spillover scenario is expressed as an inequality constraint with respect to a single spillover ...
Matthew Greenwood‐Nimmo +1 more
semanticscholar +1 more source
Clearing in Financial Networks
Theory of Probability & Its Applications, 2018zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Kabanov, Yu. M. +2 more
openaire +2 more sources
, 2021
The interbank financial networks literature has been gaining ground since the 2007–2008 global financial crisis. This paper contributes to the literature of interbank financial networks by summarizing its trends and patterns of published scientific ...
B. Tabak +3 more
semanticscholar +1 more source
The interbank financial networks literature has been gaining ground since the 2007–2008 global financial crisis. This paper contributes to the literature of interbank financial networks by summarizing its trends and patterns of published scientific ...
B. Tabak +3 more
semanticscholar +1 more source
2014
The financial system performs vital functions for the world economy. Very often one of more aspect of this system can be described by means of a complex graph. In this chapter under the generic name of financial networks we indicate several different systems all related to the world of finance. © 2014 Springer International Publishing Switzerland.
Battiston S., Caldarelli G.
openaire +2 more sources
The financial system performs vital functions for the world economy. Very often one of more aspect of this system can be described by means of a complex graph. In this chapter under the generic name of financial networks we indicate several different systems all related to the world of finance. © 2014 Springer International Publishing Switzerland.
Battiston S., Caldarelli G.
openaire +2 more sources